Research output per year
Research output per year
- 1 - 50 out of 53 results
Search results
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2023
MINI-BATCH RISK FORMS
Dentcheva, D. & Ruszczynski, A., 2023, In: SIAM Journal on Optimization. 33, 2, p. 615-637 23 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems
Dentcheva, D., Lin, Y. & Penev, S., Sep 1 2023, In: Oper Res. 71, 5, p. 1871-1888 18 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access -
The deepest event cuts in risk-averse optimization with application to radiation therapy design
Vitt, C. A., Dentcheva, D., Ruszczyński, A. & Sandberg, N., Dec 2023, In: Computational Optimization and Applications. 86, 3, p. 1347-1372 26 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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2022
BIAS REDUCTION IN SAMPLE-BASED OPTIMIZATION
Dentcheva, D. & Lin, Y., 2022, In: SIAM Journal on Optimization. 32, 1, p. 130-151 22 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access -
2021
Subregular recourse in nonlinear multistage stochastic optimization
Dentcheva, D. & Ruszczyński, A., Sep 2021, In: Mathematical Programming. 189, 1-2, p. 249-270 22 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
Open Access -
2020
Risk forms: representation, disintegration, and application to partially observable two-stage systems
Dentcheva, D. & Ruszczyński, A., Jun 1 2020, In: Mathematical Programming. 181, 2, p. 297-317 21 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access -
Risk forms: representation, disintegration, and application to partially observable two-stage systems
Dentcheva, D. & Ruszczyński, A., Jun 1 2020, In: Mathematical Programming. 181, 2, p. 297-317 21 p.Research output: Contribution to journal › Article › peer-review
Open Access1 Scopus citations -
Stochastic optimization: theory and applications: Preface: special issue in memory of Marida Bertocchi
Consigli, G., Dentcheva, D. & Maggioni, F., Sep 1 2020, In: Annals of Operations Research. 292, 2, p. 575-580 6 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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2019
Risk-averse access point selection in wireless communication networks
Ma, W. J., Oh, C., Liu, Y., Dentcheva, D. & Zavlanos, M. M., Mar 2019, In: IEEE Transactions on Control of Network Systems. 6, 1, p. 24-36 13 p., 8253894.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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Risk-averse classification
Vitt, C. A., Dentcheva, D. & Xiong, H., 2019, (Accepted/In press) In: Annals of Operations Research.Rutgers, The State University, Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access2 Scopus citations -
2018
On the price of risk in a mean-risk optimization model
Dentcheva, D. & Stock, G. J., Oct 3 2018, In: Quantitative Finance. 18, 10, p. 1699-1713 15 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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Time-coherent risk measures for continuous-time markov chains
Dentcheva, D. & Ruszczynski, A., 2018, In: SIAM Journal on Financial Mathematics. 9, 2, p. 690-715 26 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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2017
Statistical estimation of composite risk functionals and risk optimization problems
Dentcheva, D., Penev, S. & Ruszczyński, A., Aug 1 2017, In: Annals of the Institute of Statistical Mathematics. 69, 4, p. 737-760 24 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
Open Access -
2016
Augmented lagrangian methods for solving optimization problems with stochastic-order constraints
Dentcheva, D., Martinez, G. & Wolfhagen, E., Nov 1 2016, In: Oper Res. 64, 6, p. 1451-1465 15 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints
Dentcheva, D. & Wolfhagen, E., Feb 2016, In: Mathematics of Operations Research. 41, 1, p. 1-22 22 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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2015
An augmented Lagrangian method for distributed optimization
Chatzipanagiotis, N., Dentcheva, D. & Zavlanos, M. M., Aug 24 2015, In: Mathematical Programming. 152, 1-2, p. 405-434 30 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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Optimization with multivariate stochastic dominance constraints
Dentcheva, D. & Wolfhagen, E., 2015, In: SIAM Journal on Optimization. 25, 1, p. 564-588 25 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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2013
Common mathematical foundations of expected utility and dual utility theories
Dentcheva, D. & Ruszczyński, A., 2013, In: SIAM Journal on Optimization. 23, 1, p. 381-405 25 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
Open Access -
Regularization methods for optimization problems with probabilistic constraints
Dentcheva, D. & Martinez, G., Apr 2013, In: Mathematical Programming. 138, 1-2, p. 223-251 29 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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Risk preferences on the space of quantile functions
Dentcheva, D. & Ruszczyński, A., Dec 2013, In: Mathematical Programming. 148, 1-2, p. 181-200 20 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Stability and sensitivity of stochastic dominance constrained optimization models
Dentcheva, D. & Römisch, W., 2013, In: SIAM Journal on Optimization. 23, 3, p. 1672-1688 17 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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2012
Augmented Lagrangian method for probabilistic optimization
Dentcheva, D. & Martinez, G., Nov 2012, In: Annals of Operations Research. 200, 1, p. 109-130 22 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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Convex analysis approach to utility theories. dual utility
Dentcheva, D. & Ruszczynski, A., 2012, In: Comptes Rendus de L'Academie Bulgare des Sciences. 65, 12, p. 1641-1648 8 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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Convex analysis approach to utility theories. expected utility
Dentcheva, D. & Ruszczyński, A., 2012, In: Comptes Rendus de L'Academie Bulgare des Sciences. 65, 11, p. 1483-1488 6 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
Dentcheva, D. & Martinez, G., May 16 2012, In: European Journal of Operational Research. 219, 1, p. 1-8 8 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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2011
Mean-risk tests of stochastic dominance
Dentcheva, D., Stock, G. J. & Rekeda, L., May 1 2011, In: Statistics and Risk Modeling. 28, 2, p. 97-118 22 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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2010
Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
Dentcheva, D. & Ruszczyński, A., Apr 2010, In: Optimization. 59, 3, p. 323-338 16 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Kusuoka representation of higher order dual risk measures
Dentcheva, D., Penev, S. & Ruszczyński, A., Dec 2010, In: Annals of Operations Research. 181, 1, p. 325-335 11 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Robust stochastic dominance and its application to risk-averse optimization
Dentcheva, D. & Ruszczyński, A., May 2010, In: Mathematical Programming. 123, 1, p. 85-100 16 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Shape-restricted inference for Lorenz curves using duality theory
Dentcheva, D. & Penev, S., 2010, In: Statistics and Probability Letters. 80, 5-6, p. 403-412 10 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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2009
Optimization with multivariate stochastic dominance constraints
Dentcheva, D. & Ruszczyński, A., Mar 2009, In: Mathematical Programming. 117, 1-2, p. 111-127 17 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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2008
Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
Dentcheva, D. & Ruszczyński, A., Sep 2008, In: Pacific Journal of Optimization. 4, 3, p. 433-446 14 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Stochastic dominance for sequences and implied utility in dynamic optimization
Dentcheva, D. & Ruszczyński, A., 2008, In: Comptes Rendus de L'Academie Bulgare des Sciences. 61, 1, p. 15-22 8 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Stochastic dynamic optimization with discounted stochastic dominance constraints
Dentcheva, D. & Ruszczyński, A., 2008, In: SIAM Journal on Control and Optimization. 47, 5, p. 2540-2556 17 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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2007
Composite semi-infinite optimization
Dentcheva, D. & Ruszczyński, A., 2007, In: Control and Cybernetics. 36, 3, p. 633-646 14 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Stability and sensitivity of optimization problems with first order stochastic dominance constraints
Dentcheva, D., Henrion, R. & Ruszczyński, A., 2007, In: SIAM Journal on Optimization. 18, 1, p. 322-337 16 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
Open Access -
2006
Inverse stochastic dominance constraints and rank dependent expected utility theory
Dentcheva, D. & Ruszczyński, A., Jul 2006, In: Mathematical Programming. 108, 2-3, p. 297-311 15 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Portfolio optimization with stochastic dominance constraints
Dentcheva, D. & Ruszczyński, A., Feb 2006, In: Journal of Banking and Finance. 30, 2, p. 433-451 19 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
Open Access -
2004
Duality gaps in nonconvex stochastic optimization
Dentcheva, D. & Römisch, W., 2004, In: Mathematical Programming. 101, 3, p. 515-535 21 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access -
Dual methods for probabilistic optimization problems
Dentcheva, D., Lai, B. & Ruszczyński, A., Oct 2004, In: Mathematical Methods of Operations Research. 60, 2, p. 331-346 16 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
Dentcheva, D. & Ruszczyński, A., Mar 2004, In: Mathematical Programming. 99, 2, p. 329-350 22 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
Open Access -
Optimization with stochastic dominance constraints
Dentcheva, D. & Ruszczyński, A., 2004, In: SIAM Journal on Optimization. 14, 2, p. 548-566 19 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
Open Access -
Semi-infinite probabilistic optimization: First-order stochastic dominance constrain
Dentcheva, D. & Ruszczyński, A., Oct 2004, In: Optimization. 53, 5-6, p. 583-601 19 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
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2002
Bounds for probabilistic integer programming problems
Dentcheva, D., Prékopa, A. & Ruszczyski, A., Dec 15 2002, In: Discrete Applied Mathematics. 124, 1-3, p. 55-65 11 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access -
Bounds for probabilistic integer programming problems
Dentcheva, D., Prékopa, A. & Ruszczyski, A., Dec 15 2002, In: Discrete Applied Mathematics. 124, 1-3, p. 55-65 11 p.Research output: Contribution to journal › Article › peer-review
Open Access23 Scopus citations -
2001
Approximations, expansions and univalued representations of multifunctions
Dentcheva, D., Jul 2001, In: Nonlinear Analysis, Theory, Methods and Applications. 45, 1, p. 85-108 24 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access -
On Differentiability of Metric Projections onto Moving Convex Sets
Dentcheva, D., 2001, In: Annals of Operations Research. 101, 1-4, p. 283-298 16 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
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2000
Concavity and efficient points of discrete distributions in probabilistic programming
Dentcheva, D., Prékopa, A. & Ruszczyński, A., 2000, In: Mathematical Programming. 89, 1, p. 55-77 23 p.Stevens Institute of Technology, Rutgers, The State University
Research output: Contribution to journal › Article › peer-review
Open Access -
Differential stability of two-stage stochastic programs
Dentcheva, D. & Römisch, W., 2000, In: SIAM Journal on Optimization. 11, 1, p. 87-112 26 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access -
Regular Castaing representations of multifunctions with applications to stochastic programming
Dentcheva, D., 2000, In: SIAM Journal on Optimization. 10, 3, p. 732-749 18 p.Stevens Institute of Technology
Research output: Contribution to journal › Article › peer-review
Open Access